Determine the efficiency of Monte Carlo method

Determine the efficiency of Monte Carlo method.

E

Expert

Verified

If we want an accuracy of ε and we have d underlyings then the calculation time is

O(d ε-3).

This will take longer to price the greeks, however, on the positive side, we can price several options at the same time for approximately no extra time cost.

   Related Questions in Financial Management

©TutorsGlobe All rights reserved 2022-2023.